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Structural Macroeconometrics [Hardcover]

David N. DeJong , Chetan Dave
4.0 out of 5 stars  See all reviews (2 customer reviews)
RRP: £43.95
Price: £41.61 & FREE Delivery in the UK. Details
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Book Description

1 April 2007

Methodologies for analyzing the forces that move and shape national economies have advanced markedly in the last thirty years, enabling economists as never before to unite theoretical and empirical research and align measurement with theory. In Structural Macroeconometrics, David DeJong and Chetan Dave provide the unified overview and in-depth treatment analysts need to apply these latest theoretical models and empirical techniques.

The authors' emphasis throughout is on time series econometrics. DeJong and Dave detail methods available for solving dynamic structural models and casting solutions in the form of statistical models with empirical implications that may be analyzed either analytically or numerically. They present the full range of methodologies for characterizing and evaluating these empirical implications, including calibration exercises, method-of-moment procedures, and likelihood-based procedures, both classical and Bayesian. The book is complete with a rich array of implementation algorithms, sample empirical applications, and supporting computer code.

Structural Macroeconometrics is tailored specifically to equip readers with a set of practical tools that can be used to expedite their entry into the field. DeJong and Dave's uniquely accessible, how-to approach makes this the ideal textbook for graduate students seeking an introduction to macroeconomics and econometrics and for advanced students pursuing applied research in macroeconomics. The book's historical perspective, along with its broad presentation of alternative methodologies, makes it an indispensable resource for academics and professionals.

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Product details

  • Hardcover: 352 pages
  • Publisher: Princeton University Press (1 April 2007)
  • Language: English
  • ISBN-10: 0691126488
  • ISBN-13: 978-0691126487
  • Product Dimensions: 2.5 x 16.5 x 24.3 cm
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Bestsellers Rank: 1,134,816 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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"The central theme of this advanced textbook on macroeconomic time series analysis is that '[dynamic stochastic general equilibrium] models...serve directly as the foundations upon which empirical work may be conducted'. The book fulfils this aim admirably and covers standard statistical methods neatly; it is certainly worth the attention of econometricians."--Times Higher Education

From the Inside Flap

"Structural Macroeconometrics is a remarkably useful book for a wide variety of research economists at different stages of their careers. In addition to serving well the students and instructors, it is a convenient resource for researchers who want to refresh their skills or who have been exposed to only a subset of these techniques. The sheer breadth of material that this book covers guarantees that a large segment of its readership will fall into this category. The methods that DeJong and Dave present here will continue to be relevant for many years."--Charles Evans, Federal Reserve Bank of Chicago

"This book provides excellent guidance for bringing theoretical models to the forefront of macroeconometric analysis. It brings together in one place a collection of tools, methods, and procedures that are at the cutting edge of empirical macroeconomic research. It does this in a style that is accessible to first-year graduate students while providing sufficient detail that it will be a valuable reference for macroeconomists actively engaged in research. There is no other comparable existing work."--Charles Whiteman, University of Iowa

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2 of 2 people found the following review helpful
4.0 out of 5 stars Review 13 Feb 2008
Not a bad little book actually. Well written, pitches it as a decent level, not so heavy you need pages of a4 to make notes just to keep up, it's a good combination of depth and light touch to act as a useful primer or refresher on more or less the full range of required topics.
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This is a very good resource for learning DSGE modelling, with a clear structure and good explanations. The mathematical proofs are necessarily abbreviated, so I believe it is recommendable to also read at least a few of the articles most relevant to the subject.
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Most Helpful Customer Reviews on (beta) 4.5 out of 5 stars  2 reviews
7 of 7 people found the following review helpful
5.0 out of 5 stars Great book if you already have some knowledge of the topic 31 Mar 2013
By E. R. - Published on
I am a graduate student of Macroeconomics. I was once at the stage where I had a theoretical model that produced nice results that made a lot of sense, and the next step was to show if the model was any good in terms of matching the empirical data. I'd had a lot of experience with designing models, computing for solutions, dynamics, etc.; but I had virtually no experience with the data beyond OLS. Of course, I had taken a bunch of Econometrics classes (Time Series, Panel Data, Advanced Statistics) - but they were 98% theory. My adviser suggested that I looked at this book - boy was that a great advice!

It is an excellent how-to guide that describes the most common empirical approaches taken by macro people, talks about their strengths and weaknesses, provides a very nice general overview of the history behind them, critique, and current consensus on their usage. There are three very basic standard structural models which you are most likely to work with when doing your own research (RBC, Dynamic New Keynesian, and Asset Pricing models) that are introduced in the beginning and used throughout the book as examples for different empirical exercises. All the exercises are based on the data provided on the authors' website, and I learned a lot by doing the outlined exercises myself and replicating the tables and figures provided in the book.

The only thing to keep in mind is that the word "Structural" in the title may refer not only to the type of empirical analysis addressed in the book, but also to the book itself. It is quite thin for the amount of material it covers; it provides an outline of the popular methods of research and puts them into a common structure. I would not call it an introduction to structural empirical analysis. As for myself, I had studied all the topics covered in the book several years before and only vaguely remembered the general concepts, but I managed to follow the text and replicate the exercises without referring to extra material. If you have no solid econometric background, however, this book might be too tough; yet, the authors have done a great job providing the links to more extensive texts for those who would like to see more detail.
4.0 out of 5 stars Good, but a bit encyclopedic in the back 11 July 2014
By MicahD - Published on
Format:Hardcover|Verified Purchase
It's good. I'm sure I'll use it, but as more of a reference. The first 100 pages or so are nice and readable, but the back pages get a bit encyclopedic. I have no doubt that the authors know how to use all of this material, but some of the common points of confusion are glossed over. When material is treated in that manner it makes me wonder if the authors lack the deeper understanding to identify where those ambiguities are, or if they were running low on time and felt an overview was sufficient as opposed to putting deeper, more time-consuming thought into how the material was presented and how to plainly state what is being done. I'd give this 3.5 stars if I could, but I leaned toward 4 because it is a top-notch up-to-date treatment of this subject.
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